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On the distribution of the trace of a noncentral Wishart matrix

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Publication:1074982
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zbMath0591.62045MaRDI QIDQ1074982

Panagis G. Moschopoulos, Stavros Kourouklis

Publication date: 1985

Published in: Metron (Search for Journal in Brave)


zbMATH Keywords

recurrence relationmixing distributionmixture representationgamma series representationPoisson mixture of negative binomialstrace of a noncentral Wishart matrix


Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10)


Related Items (3)

Estimation of the smallest normal variance with applications to variance components models ⋮ On the application of Wishart process to the pricing of equity derivatives: the multi-asset case ⋮ Calibration and advanced simulation schemes for the Wishart stochastic volatility model




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